Analysis of Financial Risks in a GARCH Framework

M. Ahlstedt

University of Helsinki, Department of Economics from Department of Economics

Abstract: This study uses GARCH modelling to estimate and forecast conditional variances and covariances of returns calculated from a set of financial market series: twelve markka exchange rates, twelve corresponding short-term euro interest rates and the Finnish short-term interest rate, the Finnish long-term interest rate, the Finnish all-share index and real estate prices.

Keywords: ESTIMATOR; ECONOMIC MODELS; FINANCIAL MARKET; RISK (search for similar items in EconPapers)
JEL-codes: C50 C53 G10 (search for similar items in EconPapers)
Pages: 179 pages
Date: 1998
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:fth:helsec:e:11

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